de Silva, Ashton; Hyndman, Rob J.; Snyder, Ralph - In: Economic Modelling 26 (2009) 5, pp. 1067-1074
The Beveridge-Nelson vector innovations structural time series framework is a new formulation that decomposes a set of variables into their permanent and transitory components. The proposed framework is flexible, modelling inter-series relationships and common features in a simple manner. In...